Federated Hermes Prudent Bear Fund
Portfolio of Investments
June 30, 2021 (unaudited)
Shares, Principal Amount or Contracts | Value | ||
U.S. TREASURIES—106.7% | |||
U.S. Treasury Bills—106.7% | |||
$73,000,000 | 1 | United States Treasury Bills, 0.055%, 12/30/2021 | $72,976,961 |
73,000,000 | 1,2 | United States Treasury Bills, 0.085%, 7/1/2021 | 72,999,964 |
TOTAL U.S. TREASURIES (IDENTIFIED COST $145,979,702) | 145,976,925 | ||
COMMON STOCKS—32.1% | |||
Communication Services—4.8% | |||
600 | 3 | Alphabet, Inc., Class A | 1,465,074 |
150,000 | 3 | BBTV Holdings, Inc. | 966,844 |
1,000 | Electronic Arts, Inc. | 143,830 | |
6,000 | 3 | Facebook, Inc. | 2,086,260 |
26,000 | Verizon Communications, Inc. | 1,456,780 | |
20,000 | 3 | VerticalScope Holdings, Inc. | 375,121 |
TOTAL | 6,493,909 | ||
Consumer Discretionary—2.4% | |||
60,000 | 3 | Deliveroo PLC | 239,407 |
7,000 | eBay, Inc. | 491,470 | |
50,000 | JOANN, Inc. | 787,500 | |
3,000 | McDonald’s Corp. | 692,970 | |
18,700 | 3 | Pet Valu Holdings Ltd. | 403,386 |
1,400 | 3 | Ulta Beauty, Inc. | 484,078 |
18,000 | 3 | Vasta Platform Ltd. | 146,160 |
TOTAL | 3,244,971 | ||
Consumer Staples—2.0% | |||
6,000 | 3 | Jde Peet’s B.V. | 217,721 |
6,000 | Kroger Co. | 229,860 | |
16,000 | Philip Morris International, Inc. | 1,585,760 | |
3,000 | Procter & Gamble Co. | 404,790 | |
40,000 | 3 | RLX Technology, Inc., ADR | 349,200 |
TOTAL | 2,787,331 | ||
Financials—5.4% | |||
72,000 | Financial Select Sector SPDR Fund | 2,641,680 | |
132,000 | 3 | GoHealth, Inc. | 1,479,720 |
2,000 | Goldman Sachs Group, Inc. | 759,060 | |
24,000 | 3 | Guild Holdings Co. | 368,160 |
70,000 | 3 | Oportun Financial Corp. | 1,402,100 |
12,000 | Patria Investments Ltd. | 211,440 | |
6,000 | Synchrony Financial | 291,120 | |
16,000 | 3 | Vinci Partners Investments Ltd. | 232,000 |
TOTAL | 7,385,280 | ||
Health Care—9.6% | |||
15,000 | 3 | Akouos, Inc. | 188,250 |
12,000 | 3 | Akoya Biosciences, Inc. | 232,080 |
3,000 | AmerisourceBergen Corp. | 343,470 | |
20,000 | 3 | Aveanna Healthcare Holdings, Inc. | 247,400 |
700 | 3 | Biogen, Inc. | 242,389 |
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Shares, Principal Amount or Contracts | Value | ||
COMMON STOCKS—continued | |||
Health Care—continued | |||
16,169 | 3 | Checkmate Pharmaceuticals, Inc. | $96,367 |
22,500 | 3 | Codex DNA, Inc. | 495,000 |
12,000 | 3 | Connect Biopharma Holdings Ltd., ADR | 234,360 |
33,333 | 3 | Convey Holding Parent, Inc. | 379,329 |
15,000 | 3 | CVRx, Inc. | 420,000 |
2,000 | CVS Health Corp. | 166,880 | |
10,000 | 3 | Decibel Therapeutics, Inc. | 86,000 |
106,000 | 3 | Dialogue Health Technologies, Inc. | 974,831 |
12,000 | 3 | Freeline Therapeutics Holdings PLC, ADR | 97,800 |
20,000 | 3 | Frequency Therapeutics, Inc. | 199,200 |
15,000 | 3 | Fusion Pharmaceuticals, Inc. | 121,200 |
12,000 | 3 | Galecto, Inc. | 60,720 |
2,600 | Gilead Sciences, Inc. | 179,036 | |
5,026 | 3 | Gracell Biotechnologies, Inc., ADR | 65,338 |
16,000 | Health Care Select Sector SPDR Fund | 2,015,200 | |
2,000 | 3 | Jazz Pharmaceuticals PLC. | 355,280 |
75,000 | 3 | Lucira Health, Inc. | 498,000 |
3,000 | 3 | Neurocrine Biosciences, Inc. | 291,960 |
18,194 | 3 | PolyPid Ltd. | 164,747 |
134,170 | 3,4,5 | Recursion Pharmaceuticals, Inc. | 4,149,160 |
500 | 3 | Regeneron Pharmaceuticals, Inc. | 279,270 |
17,000 | 3 | Reneo Pharmaceuticals, Inc. | 158,610 |
10,000 | 3 | Singular Genomics Systems, Inc. | 274,800 |
15,000 | 3 | Talis Biomedical Corp. | 165,450 |
TOTAL | 13,182,127 | ||
Industrials—2.1% | |||
30,000 | 3 | Bowman Consulting Group Ltd. | 415,500 |
2,000 | Eaton Corp. PLC | 296,360 | |
18,618 | 3 | First Advantage Corp. | 370,684 |
20,000 | 3 | FTC Solar, Inc. | 266,200 |
1,000 | Northrop Grumman Corp. | 363,430 | |
10,000 | 3 | Parsons Corp. | 393,600 |
15,000 | Schneider National, Inc. | 326,550 | |
5,000 | 3 | Shoals Technologies Group, Inc. | 177,500 |
6,000 | 3 | Southwest Airlines Co. | 318,540 |
TOTAL | 2,928,364 | ||
Information Technology—4.7% | |||
500 | Broadcom, Inc. | 238,420 | |
20,000 | Cisco Systems, Inc. | 1,060,000 | |
72,561 | 3 | IBEX LTD | 1,416,391 |
5,000 | IBM Corp. | 732,950 | |
24,850 | 3 | Intapp, Inc. | 695,800 |
1,200 | 3 | Keysight Technologies, Inc. | 185,292 |
125,000 | 3 | LifeSpeak, Inc. | 1,008,390 |
3,000 | Oracle Corp. | 233,520 | |
1,500 | Qualcomm, Inc. | 214,395 | |
15,000 | 3 | SimilarWeb Ltd. | 295,500 |
5,000 | 3 | SkyWater Technology, Inc. | 143,250 |
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Shares, Principal Amount or Contracts | Value | ||
COMMON STOCKS—continued | |||
Information Technology—continued | |||
30,000 | 3 | Zeta Global Holdings Corp. | $252,000 |
TOTAL | 6,475,908 | ||
Materials—0.8% | |||
64,000 | 3 | Sprott Physical Gold Trust | 897,920 |
3,000 | 3 | Zymergen, Inc. | 120,030 |
TOTAL | 1,017,950 | ||
Real Estate—0.3% | |||
2,000 | Crown Castle International Corp. | 390,200 | |
TOTAL COMMON STOCKS (IDENTIFIED COST $40,685,763) | 43,906,040 | ||
3 | PURCHASED PUT OPTIONS—0.5% | ||
100 | iShares Russell 2000 ETF (PUT-Option), Exercise Price $190. Expiration Date 12/17/2021 | 35,200 | |
1,500 | SPDR S&P 500 ETF Trust (PUT-Option), Exercise Price $300. Expiration Date 12/17/2021 | 310,500 | |
1,200 | SPDR S&P 500 ETF Trust (PUT-Option), Exercise Price $330. Expiration Date 9/17/2021 | 120,600 | |
600 | SPDR S&P 500 ETF Trust (PUT-Option), Exercise Price $370. Expiration Date 8/20/2021 | 66,300 | |
300 | SPDR S&P 500 ETF Trust (PUT-Option), Exercise Price $400. Expiration Date 7/16/2021 | 14,250 | |
600 | SPDR S&P 500 ETF Trust (PUT-Option), Exercise Price $410. Expiration Date 7/16/2021 | 50,100 | |
TOTAL PURCHASED PUT OPTIONS (IDENTIFIED COST $790,872) | 596,950 | ||
INVESTMENT COMPANY—14.5% | |||
19,845,852 | Federated Hermes Government Obligations Fund, Premier Shares, 0.01%6 (IDENTIFIED COST $19,845,852) | 19,845,852 | |
TOTAL INVESTMENT IN SECURITIES—153.8% (IDENTIFIED COST $207,302,189) | 210,325,767 | ||
OTHER ASSETS AND LIABILITIES - NET—(53.8)%7 | (73,531,972) | ||
TOTAL NET ASSETS—100% | $136,793,795 |
SECURITIES SOLD SHORT—(72.5)%
Shares | Value | ||
Broad Equity Index—(56.5)% | |||
23,200 | 3 | ARK Fintech Innovation ETF | $1,255,352 |
16,000 | 3 | ARK Genomic Revolution Multi-Sector | 1,480,000 |
14,600 | ARK Industrial Innovation ETF | 1,258,666 | |
9,050 | ARK Web x.0 ETF | 1,394,334 | |
13,500 | Invesco QQQ Trust Series 1 | 4,784,805 | |
38,000 | iShares FTSE/Xinhua China 25 | 1,760,540 | |
15,000 | iShares MSCI Brazil Capped ETF | 608,100 | |
40,000 | iShares MSCI Canada Index Fund | 1,490,800 | |
28,000 | iShares MSCI EAFE ETF | 2,208,640 | |
58,000 | iShares MSCI Emerging Markets ETF | 3,198,700 | |
17,000 | iShares MSCI Germany | 588,200 | |
18,000 | iShares Russell 2000 ETF | 4,128,660 | |
124,000 | S&P Depositary Receipts Trust | 53,079,440 | |
TOTAL | 77,236,237 | ||
Communication Services—(2.0)% | |||
25,000 | Communication Services Select Sector SPDR | 2,024,250 | |
4,000 | 3 | DISH Network Corp., Class A | 167,200 |
300 | 3 | Netflix, Inc. | 158,463 |
3,500 | New York Times Co., Class A | 152,425 |
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Shares | Value | ||
Communication Services—continued | |||
1,000 | Walt Disney Co. | $175,770 | |
TOTAL | 2,678,108 | ||
Consumer Discretionary—(1.3)% | |||
9,200 | Consumer Discretionary Select Sector SPDR Fund | 1,642,660 | |
3,300 | 3 | Terminix Global Holdings, Inc. | 157,443 |
TOTAL | 1,800,103 | ||
Consumer Staples—(2.2)% | |||
4,000 | Archer-Daniels-Midland Co. | 242,400 | |
3,000 | Bunge Ltd. | 234,450 | |
19,000 | Consumer Staples Select Sector SPDR Fund | 1,329,430 | |
6,500 | Hormel Foods Corp. | 310,375 | |
2,800 | McCormick & Co., Inc. | 247,296 | |
2,300 | PepsiCo, Inc. | 340,791 | |
5,500 | The Coca-Cola Co. | 297,605 | |
TOTAL | 3,002,347 | ||
Financials—(0.8)% | |||
800 | CME Group, Inc. | 170,144 | |
2,000 | Cullen Frost Bankers, Inc. | 224,000 | |
2,000 | Gallagher (Arthur J.) & Co. | 280,160 | |
1,400 | Reinsurance Group of America | 159,600 | |
5,000 | Wells Fargo & Co. | 226,450 | |
TOTAL | 1,060,354 | ||
Health Care—(3.8)% | |||
700 | Becton Dickinson & Co. | 170,233 | |
10,000 | 3 | Bridgebio Pharma, Inc. | 609,600 |
700 | Cooper Cos., Inc. | 277,389 | |
9,000 | 3 | Elanco Animal Health, Inc. | 312,210 |
2,400 | Medtronic PLC | 297,912 | |
4,000 | Perrigo Co. PLC | 183,400 | |
1,000 | 3 | Repligen Corp. | 199,620 |
20,000 | SPDR S&P Biotech ETF | 2,708,000 | |
1,100 | STERIS PLC | 226,930 | |
16,000 | Viatris, Inc. | 228,640 | |
TOTAL | 5,213,934 | ||
Industrials—(1.5)% | |||
20,000 | Industrial Select Sector SPDR Fund | 2,048,000 | |
Information Technology—(1.2)% | |||
1,600 | 3 | Cree, Inc. | 156,688 |
2,200 | 3 | Dell Technologies, Inc. | 219,274 |
1,400 | Fidelity National Information Services, Inc. | 198,338 | |
2,500 | 3 | First Solar, Inc. | 226,275 |
12,000 | Hewlett Packard Enterprise Co. | 174,960 | |
3,000 | HP, Inc. | 90,570 | |
2,000 | Paychex, Inc. | 214,600 | |
7,000 | 3 | Sabre Corp. | 87,360 |
600 | 3 | Tyler Technologies, Inc. | 271,422 |
TOTAL | 1,639,487 | ||
Materials—(0.6)% | |||
3,000 | Ball Corp. | 243,060 | |
7,500 | Materials Select Sector SPDR Fund | 617,325 | |
TOTAL | 860,385 | ||
Real Estate—(1.5)% | |||
9,400 | Equity Commonwealth | 246,280 |
4
Shares | Value | ||
Real Estate—continued | |||
3,500 | Federal Realty Investment Trust | $410,095 | |
33,000 | Real Estate Select Sector SPDR Fund | 1,462,890 | |
TOTAL | 2,119,265 | ||
Utilities—(1.1)% | |||
4,800 | Edison International | 277,536 | |
17,000 | Utilities Select Sector SPDR Fund | 1,074,910 | |
1,700 | Xcel Energy, Inc. | 111,996 | |
TOTAL | 1,464,442 | ||
Total Securities Sold Short (PROCEEDS $68,690,481) | $99,122,662 |
At June 30, 2021, the Fund had the following outstanding futures contracts:
Description | Number of Contracts | Notional Value | Expiration Date | Value and Unrealized Depreciation |
Short Futures: | ||||
3E-Mini Russel 2000 Short Futures | 30 | $3,461,700 | September 2021 | $(3,235) |
3S&P 500 E-Mini Short Futures | 290 | $62,184,700 | September 2021 | $(839,539) |
NET UNREALIZED DEPRECIATION ON FUTURES CONTRACTS | $(842,774) |
The average notional value of short futures contracts held by the Fund throughout the period was $74,220,069. This is based on amounts held as of each month-end throughout the period.
At June 30, 2021, the Fund had the following outstanding foreign exchange contracts:
Settlement Date | Counterparty | Foreign Currency Units to Deliver/Receive | In Exchange For | Net Unrealized (Depreciation) | |
Contracts Purchased: | |||||
7/6/2021 | State Street Bank & Trust Co. | 1,250,000 | CAD | $1,009,103 | $(717) |
NET UNREALIZED DEPRECIATION ON FOREIGN EXCHANGE CONTRACTS | $(717) |
Net Unrealized Depreciation on Futures Contracts, Foreign Exchange Contracts and on the Value of Securities Sold Short is included in “Other Assets and Liabilities–Net.”
An affiliated company is a company in which the Fund, alone or in combination with other funds, has ownership of at least 5% of the voting shares. Transactions with the affiliated companies during the period ended June 30, 2021, were as follows:
Value as of 9/30/2020 | Purchases at Cost | Proceeds from Sales | |
Health Care: | |||
Akouos, Inc. | $137,220 | $164,555 | $— |
Frequency Therapeutics, Inc. | $461,040 | $292,037 | $(789,433) |
TOTAL OF AFFILIATED COMPANIES TRANSACTIONS | $598,260 | $456,592 | $(789,433) |
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Change in Unrealized Appreciation/ Depreciation | Net Realized Gain/ (Loss) | Value as of 6/30/2021 | Shares Held as of 6/30/2021 | Dividend Income |
$(113,525) | $— | $188,250 | 15,000 | $— |
$70,479 | $165,077 | $199,200 | 20,000 | $— |
$(43,046) | $165,077 | $387,450 | 35,000 | $— |
Affiliated fund holdings are investment companies which are managed by Federated Equity Management Company of Pennsylvania (the “Adviser”) or an affiliate of the Adviser. Transactions with affiliated fund holdings during the period ended June 30, 2021, were as follows:
Federated Hermes Government Obligations Fund, Premier Shares | |
Value as of 9/30/2020 | $159,462,830 |
Purchases at Cost | $176,574,211 |
Proceeds from Sales | $(316,191,189) |
Change in Unrealized Appreciation/Depreciation | N/A |
Net Realized Gain/(Loss) | N/A |
Value as of 6/30/2021 | $19,845,852 |
Shares Held as of 6/30/2021 | 19,845,852 |
Dividend Income | $9,877 |
1 | Discount rate at time of purchase. |
2 | All or a portion of this security is pledged as collateral to ensure the Fund is able to satisfy the obligations of its outstanding short futures and securities sold short contracts. |
3 | Non-income-producing security. |
4 | Market quotations and price evaluations are not available. Fair value determined using significant unobservable inputs in accordance with procedures established by and under the general supervision of the Fund’s Board of Trustees (the “Trustees”). |
5 | Denotes a restricted security that either: (a) cannot be offered for public sale without first being registered, or availing of an exemption from registration, under the Securities Act of 1933; or (b) is subject to a contractual restriction on public sales. At June 30, 2021, these restricted securities amounted to $4,149,160, which represented 3.0% of total net assets. |
Security | Acquisition Date | Cost | Value |
Recursion Pharmaceuticals, Inc. | 10/29/2020 | $899,998 | $4,149,160 |
6 | 7-day net yield. |
7 | Assets, other than investments in securities, less liabilities. A significant portion of this balance is the result of a pending transaction as of June 30, 2021. |
Note: The categories of investments are shown as a percentage of total net assets at June 30, 2021.
Investment Valuation
In calculating its net asset value (NAV), the Fund generally values investments as follows:
■ Equity securities listed on an exchange or traded through a regulated market system are valued at their last reported sale price or official closing price in their principal exchange or market.
■ Fixed-income securities are fair valued using price evaluations provided by a pricing service approved by the Trustees.
■ Shares of other mutual funds or non-exchange-traded investment companies are valued based upon their reported NAVs.
■ Derivative contracts listed on exchanges are valued at their reported settlement or closing price, except that options are valued at the mean of closing bid and asked quotations.
■ Over-the-counter (OTC) derivative contracts are fair valued using price evaluations provided by a pricing service approved by the Trustees.
■ For securities that are fair valued in accordance with procedures established by and under the general supervision of the Trustees, certain factors may be considered, such as: the last traded or purchase price of the security, information obtained by contacting the issuer or dealers, analysis of the issuer’s financial statements or other available documents, fundamental analytical data, the nature and duration of restrictions on disposition, the movement of the market in which the security is normally traded, public trading in similar securities or derivative contracts of the issuer or comparable issuers, movement of a relevant index, or other factors including but not limited to industry changes and relevant government actions.
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If any price, quotation, price evaluation or other pricing source is not readily available when the NAV is calculated, if the Fund cannot obtain price evaluations from a pricing service or from more than one dealer for an investment within a reasonable period of time as set forth in the Fund’s valuation policies and procedures, or if information furnished by a pricing service, in the opinion of the valuation committee (“Valuation Committee”), is deemed not representative of the fair value of such security, the Fund uses the fair value of the investment determined in accordance with the procedures described below. There can be no assurance that the Fund could obtain the fair value assigned to an investment if it sold the investment at approximately the time at which the Fund determines its NAV per share, and the actual value obtained could be materially different.
Fair Valuation and Significant Events Procedures
The Trustees have ultimate responsibility for determining the fair value of investments for which market quotations are not readily available. The Trustees have appointed a Valuation Committee comprised of officers of the Fund, the Adviser and certain of the Adviser’s affiliated companies to assist in determining fair value and in overseeing the calculation of the NAV. The Trustees have also authorized the use of pricing services recommended by the Valuation Committee to provide fair value evaluations of the current value of certain investments for purposes of calculating the NAV. The Valuation Committee employs various methods for reviewing third-party pricing-service evaluations including periodic reviews of third-party pricing services’ policies, procedures and valuation methods (including key inputs, methods, models and assumptions), transactional back-testing, comparisons of evaluations of different pricing services, and review of price challenges by the Adviser based on recent market activity. In the event that market quotations and price evaluations are not available for an investment, the Valuation Committee determines the fair value of the investment in accordance with procedures adopted by the Trustees. The Trustees periodically review and approve the fair valuations made by the Valuation Committee and any changes made to the procedures.
Factors considered by pricing services in evaluating an investment include the yields or prices of investments of comparable quality, coupon, maturity, call rights and other potential prepayments, terms and type, reported transactions, indications as to values from dealers and general market conditions. Some pricing services provide a single price evaluation reflecting the bid-side of the market for an investment (a “bid” evaluation). Other pricing services offer both bid evaluations and price evaluations indicative of a price between the prices bid and asked for the investment (a “mid” evaluation). The Fund normally uses bid evaluations for any U.S. Treasury and Agency securities, mortgage-backed securities and municipal securities. The Fund normally uses mid evaluations for any other types of fixed-income securities and any OTC derivative contracts. In the event that market quotations and price evaluations are not available for an investment, the fair value of the investment is determined in accordance with procedures adopted by the Trustees.
The Trustees also have adopted procedures requiring an investment to be priced at its fair value whenever the Adviser determine that a significant event affecting the value of the investment has occurred between the time as of which the price of the investment would otherwise be determined and the time as of which the NAV is computed. An event is considered significant if there is both an affirmative expectation that the investment’s value will change in response to the event and a reasonable basis for quantifying the resulting change in value. Examples of significant events that may occur after the close of the principal market on which a security is traded, or after the time of a price evaluation provided by a pricing service or a dealer, include:
■ With respect to securities traded principally in foreign markets, significant trends in U.S. equity markets or in the trading of foreign securities index futures contracts;
■ Political or other developments affecting the economy or markets in which an issuer conducts its operations or its securities are traded;
■ Announcements concerning matters such as acquisitions, recapitalizations, litigation developments, or a natural disaster affecting the issuer’s operations or regulatory changes or market developments affecting the issuer’s industry.
The Trustees have adopted procedures whereby the Valuation Committee uses a pricing service to provide factors to update the fair value of equity securities traded principally in foreign markets from the time of the close of their respective foreign stock exchanges to the pricing time of the Fund. For other significant events, the Fund may seek to obtain more current quotations or price evaluations from alternative pricing sources. If a reliable alternative pricing source is not available, the Fund will determine the fair value of the investment in accordance with the fair valuation procedures approved by the Trustees. The Trustees have ultimate responsibility for any fair valuations made in response to a significant event.
Various inputs are used in determining the value of the Fund’s investments. These inputs are summarized in the three broad levels listed below:
Level 1—quoted prices in active markets for identical securities.
Level 2—other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). Also includes securities valued at amortized cost.
Level 3—significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments).
The inputs or methodology used for valuing securities are not an indication of the risk associated with investing in those securities.
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The following is a summary of the inputs used, as of June 30, 2021, in valuing the Fund’s assets carried at fair value:
Valuation Inputs | ||||
Level 1— Quoted Prices | Level 2— Other Significant Observable Inputs | Level 3— Significant Unobservable Inputs | Total | |
Debt Securities: | ||||
U.S. Treasuries | $— | $145,976,925 | $— | $145,976,925 |
Purchased Put Options | 596,950 | — | — | 596,950 |
Equity Securities: | ||||
Common Stocks | ||||
Domestic | 30,687,484 | — | 4,149,160 | 34,836,644 |
International | 8,612,268 | 457,128 | — | 9,069,396 |
Investment Company | 19,845,852 | — | — | 19,845,852 |
TOTAL SECURITIES | $59,742,554 | $146,434,053 | $4,149,160 | $210,325,767 |
Other Financial Instruments: | ||||
Liabilities | ||||
Foreign Exchange Contracts | $— | $(717) | $— | $(717) |
Securities Sold Short | (99,122,662) | — | — | (99,122,662) |
Futures Contracts | (842,774) | — | — | (842,774) |
TOTAL OTHER FINANCIAL INSTRUMENTS | $(99,965,436) | $(717) | $— | $(99,966,153) |
The following acronym(s) are used throughout this portfolio: | ||
ADR | —American Depositary Receipt | |
CAD | —Canadian Dollar | |
ETF | —Exchange-Traded Fund | |
SPDR | —Standard & Poor’s Depositary Receipt |
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